| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 85.23% | 54.13% |
| CAGR﹪ | 13.2% | 9.09% |
| Sharpe | 0.81 | 0.81 |
| Prob. Sharpe Ratio | 96.46% | 96.09% |
| Smart Sharpe | 0.8 | 0.8 |
| Sortino | 1.17 | 1.11 |
| Smart Sortino | 1.16 | 1.1 |
| Sortino/√2 | 0.83 | 0.78 |
| Smart Sortino/√2 | 0.82 | 0.78 |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -24.5% | -17.66% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2024-07-17 |
| Max DD Period End | 2023-12-12 | 2025-12-24 |
| Longest DD Days | 708 | 526 |
| Volatility (ann.) | 17.21% | 11.63% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.54 | 0.51 |
| Skew | 0.31 | -0.79 |
| Kurtosis | 8.92 | 4.24 |
| Ulcer Performance Index | 10.07 | 10.52 |
| Risk-Adjusted Return | 13.2% | 9.47% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.82% | 0.62% |
| Avg. Loss | -0.89% | -0.65% |
| Win/Loss Ratio | 0.93 | 0.95 |
| Profit Ratio | 0.82 | 0.67 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.02% | 0.71% |
| Expected Yearly | 10.82% | 7.48% |
| Kelly Criterion | 4.8% | 6.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.17% |
| Expected Shortfall (cVaR) | -2.58% | -1.83% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.15 |
| Gain/Pain (1M) | 0.85 | 1.12 |
| Payoff Ratio | 0.93 | 0.95 |
| Profit Factor | 1.15 | 1.15 |
| Common Sense Ratio | 1.17 | 1.12 |
| CPC Index | 0.58 | 0.6 |
| Tail Ratio | 1.01 | 0.97 |
| Outlier Win Ratio | 3.43 | 3.24 |
| Outlier Loss Ratio | 3.76 | 3.24 |
| MTD | 3.15% | 2.14% |
| 3M | 4.73% | 0.06% |
| 6M | 11.92% | 10.01% |
| YTD | 13.6% | 15.96% |
| 1Y | 22.27% | 28.08% |
| 3Y (ann.) | 22.32% | 11.6% |
| 5Y (ann.) | 13.41% | 9.16% |
| 10Y (ann.) | 13.2% | 9.09% |
| All-time (ann.) | 13.2% | 9.09% |
| Best Day | 10.5% | 3.48% |
| Worst Day | -5.85% | -4.99% |
| Best Month | 10.51% | 7.49% |
| Worst Month | -9.24% | -5.31% |
| Best Year | 26.18% | 15.96% |
| Worst Year | -18.18% | 2.87% |
| Avg. Drawdown | -1.86% | -1.93% |
| Avg. Drawdown Days | 20 | 31 |
| Recovery Factor | 2.82 | 2.64 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.47 | 0.52 |
| Avg. Up Month | 3.93% | 2.3% |
| Avg. Down Month | -3.56% | -2.38% |
| Win Days | 54.2% | 54.48% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 76.19% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.41 |
| Alpha | - | 0.04 |
| Correlation | - | 60.49% |
| Treynor Ratio | - | 132.52% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 2.87 | 0.39 | - |
| 2022 | -18.18 | 3.71 | -0.20 | + |
| 2023 | 26.18 | 5.76 | 0.22 | - |
| 2024 | 24.89 | 13.15 | 0.53 | - |
| 2025 | 17.72 | 4.12 | 0.23 | - |
| 2026 | 13.60 | 15.96 | 1.17 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-17 | 2025-12-24 | -17.66 | 526 |
| 2021-11-26 | 2022-03-03 | -8.49 | 98 |
| 2022-06-09 | 2023-09-13 | -7.55 | 462 |
| 2026-05-19 | 2026-08-11 | -7.24 | 85 |
| 2026-01-30 | 2026-02-24 | -4.43 | 26 |
| 2022-04-20 | 2022-06-03 | -4.28 | 45 |
| 2022-03-09 | 2022-03-18 | -3.71 | 10 |
| 2023-09-15 | 2024-01-18 | -3.50 | 126 |
| 2024-03-28 | 2024-05-14 | -3.39 | 48 |
| 2026-03-18 | 2026-04-02 | -3.28 | 16 |